quantlib.cashflows.overnight_indexed_coupon_pricer.

ArithmeticAveragedOvernightIndexedCouponPricer

class ArithmeticAveragedOvernightIndexedCouponPricer(Real mean_reversion=0.03, Real volatility=0.0, bool by_approx=False)

Bases: FloatingRateCouponPricer

Methods

caplet_price(self, Rate effective_cap)
caplet_rate(self, Rate effective_cap)
floorlet_price(self, Rate effective_floor)
floorlet_rate(self, Rate effective_floor)
initialize(self, FloatingRateCoupon coupon)
swaplet_price(self)
swaplet_rate(self)